Banks
ANZ takes A$20bn RWA add-on from capital floor
Charges linked to output floor adjustment rose sevenfold in the second quarter
US Bancorp ever more reliant on LCR relief
HQLAs would only cover 91.4% of bank’s net cash outflows without Fed’s cap
Nykredit reclassifies Dkr70bn of credit risk to A-IRB
Reserves held in anticipation of upcoming regulatory requirements transferred from F-IRB approach in Q2
New CRE model adds $1.8bn to UBS’s RWAs
Swath of exposures moved from standardised to IRB approach in the second quarter
Deutsche curbs CVA charges to record low
Addition of hedges in Q2 helps cut RWAs by 26%, outpacing other European banks
Cashflow volatility lowest in four years at big US banks
Maturity mismatch add-ons ease up, but BNY Mellon, Goldman, Morgan Stanley and State Street buck trend in Q2
Seeking muted rate sensitivity, NYCB scraps all IR hedges
IRRBB simulations show sizeable income drain from lower rates, despite bank claiming rate neutrality
Credit options notional for top US dealers soars 45.3%
Investor demand for puts and calls drives balances near Q1 2022 record
Progress on US banks’ EVE transparency grinds to a halt
No additional disclosures of key metric linked to SVB collapse in latest round of public filings
US banks rejig AFS books in Q2
Some banks binge on US Treasuries while Goldman doubles down on RMBSs
US G-Sibs’ SLR exposures top record for second consecutive quarter
Aggregate leverage exposures up $455 billion in H1
Top US dealers shun least liquid assets for HQLAs
Charles Schwab bucks trend with move toward Level 2
NatWest, StanChart, Nationwide drive record op RWAs at UK banks
BoE data shows operational risk RWAs highest going back to 2014
Valley National cuts CRE concentration after balance sheet tweak
Reassessment of nursing-home loans as ‘owner-occupied’ brings CRE-to-capital benchmark down 24 percentage points in Q2
HSBC’s stage 3 loans jump in H1 by most since pandemic
Deteriorating CRE loans in Hong Kong drive surge
Anticipating rate hike, MUFG offloaded ¥4trn of Japan government bonds
Lender reduces holdings to lowest in over a decade
SocGen’s TLAC ratios drop following senior preferred debt exclusion
Bank’s decision to waive CRR option pushes bail-in funds to lowest since 2020
LCR drops to multi-year lows at OCBC, UOB
Higher wholesale funding outflows partly responsible for reduction in liquidity ratios
HSBC’s VAR up by a third amid methodology change
Duration risk behind latest spike as bank switches to 10-day holding period
BNPP transfers €8bn of liabilities to Level 3
Revision in level-setting responsible for biggest net transfer in at least eight years
Nomura’s market risk jumps ¥800bn in Q2
Yen depreciation and rising default risk drive RWAs to record high
RBI’s VAR spikes on FX fluctuations
Ruble trouble sends market RWAs up €1.4bn
NatWest securitisation RWAs hit record high in Q2
Higher amounts of significant risk transfers originated by the bank behind latest increase
AFS securities sale costs Truist $6.8bn
Purge of investment securities marks largest single-quarter loss by a US bank in 10 years